Testing for a Linear Unit Root against Nonlinear Threshold Stationarity
In this paper we propose a direct testing procedure to detect the presence of linear unit root against geometrically ergodic process defined by the self-exciting threshold autoregressive (SETAR) model with three regimes. Assuming that the process follows the random walk in the corridor regime, the null can be tested by the Wald test for the joint significance of the threshold autoregressive parameters under both lower and upper regimes. We prove that the suggested Wald test does not depend on unknown threshold values under the null at least asymptotically. We also derive its analytic asymptotic null distribution. Monte Carlo evidence clearly indicates that the exponential average of the Wald statistic is more powerful than the standard Dickey-Fuller test that ignores the threshold nature under the alternative.
|Date of creation:||Jul 2000|
|Contact details of provider:|| Postal: 31 Buccleuch Place, EH8 9JT, Edinburgh|
Web page: http://www.econ.ed.ac.uk/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:edn:esedps:60. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Gina Reddie)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.